Suppose that daily changes for a portfolio have first-order correlation with correlation parameter 0.12. The 10-day VaR,
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Suppose that daily changes for a portfolio have first-order correlation with correlation parameter 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by
√
10, is $2 million. What is a better estimate of the VaR that takes account of autocorrelation?
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